소비 리스크와 불완전자산시장하의 선물환 프리미엄
Consumption Risk and Forward Premium under the Incomplete Asset Market
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본 연구에서는 우리나라 제조업에 속한 중소기업들을 대상으로 표준화 활동이 기술혁신활동에 미치는 영향을 실증적으로 분석하였다. 표준화 활동을 기업의 전사적 표준경영, 국내표준활동, 국제표준활동, 인증획득 등으로 구분하였으며, R&D집약도와 특허출원을 각각 기술혁신활동의 대용변수로 삼았다. 분석대상은 636개 중소제조기업으로, 정성적 분석방법인 로지스틱 회귀모형을 사용하였다. 분석결과 인증획득활동은 기술혁신활동변수를 R&D집약도로 놓았을 경우와 특허출원으로 놓았을 경우 공히 기술혁신에 정(+)의 영향을 미치는 것으로 나타났다. 전사적 표준경영과 국제표준활동은 기술혁신활동변수를 특허출원으로 놓았을 경우에만 각각 기술혁신에 정(+)의 영향을 미치는 것으로 나타났다. 그러나 KS(Korean Standards) 등 국내표준활동 요인은 R&D집약도와 특허출원에 대해서 모두 아무런 영향을 미치지 않는 것으로 분석되었다. 전반적으로 우리나라 제조업에 속한 중소기업들에 있어서 표준화 활동은 제품기획, R&D 등 기술혁신활동의 초기 단계에서는 어떠한 영향을 가지지 못하지만 특허출원 등 성과와 관련된 중기 이후 단계에서는 긍정적인 역할을 하는 것으로 볼 수 있다. 따라서 표준화 활동을 기술혁신의 전주기에 걸쳐서 연계시키는 정부와 기업의 노력이 요청된다고 하겠다.
Abstract
Asset pricing model of Lucas(1978) known as C-CAPM can be generalized to all kinds of assets including foreign exchanges. We derive a C-CAPM model under the assumptions of complete international capital market but incomplete domestic asset market. We assess whether empirical difficulties, especially forward foreign exchange premium puzzle encountered by the complete market model can be resolved by the modified C-CAPM that depends not only on the per capita consumption growth but also on the cross-sectional variance of the individual consumers' consumption growth. We find that introducing consumer heterogeneity can improve substantially the empirical performance of the model in terms of the improved estimation of the coefficient of relative risk aversion and test statistics for the overidentifying restrictions. On the other hand, the sign conventions of risk premium estimated by the VECM in general are not consistent with the predictions of the model about the correlation between speculative profit of forward foreign exchange and the pricing kernel. Thus, the puzzle remains unsolved, but there still is a room for the possibility that one can get more improved results by incorporating market incompleteness by different ways or using different datasets.
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